Worlds can be claimed for an empire. A claim is staked by raising a flag of your empire. To do this, hold a flag in a ready inventory slot and select it as the current item in hand. Look at the exact spot to put the flag pole and click with the mouse.
A world does not have to be claimed to build a city. An unclaimed world can hosts cities of multiple empires.
A world must be claimed to construct a military headquarters.
Claims of neutral empires can be stolen with confirmation. The first attempt to steal the claim from a neutral empire warns that the world is already claimed. A second attempt to claim that world within one minute steals the claim.
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It is possible to surrender cities to another empire.